Finance

GBTG Move Probability $9.50 +0.00 (+0.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
39.3%
Stock touched +5.0% ($9.97) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
18.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.2%
$8.43 — $10.57

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 491 historical windows (2024-09-23 to 2026-09-28). The colored bar indicates the win zone for +5.0%.

-30.5% to -24.6%: 8 occurrences (1.6%) -27.5% -24.6% to -18.6%: 6 occurrences (1.2%) -18.6% to -12.7%: 19 occurrences (3.9%) -12.7% to -6.7%: 41 occurrences (8.4%) -9.7% -6.7% to -0.8%: 118 occurrences (24.0%) -0.8% to +5.2%: 210 occurrences (42.8%) +5.2% to +11.1%: 37 occurrences (7.5%) 8.1% +11.1% to +17.1%: 23 occurrences (4.7%) +17.1% to +23.0%: 11 occurrences (2.2%) +23.0% to +28.9%: 2 occurrences (0.4%) 26.0% +28.9% to +34.9%: 2 occurrences (0.4%) +34.9% to +40.8%: 0 occurrences (0.0%) +40.8% to +46.8%: 0 occurrences (0.0%) 43.8% +46.8% to +52.7%: 1 occurrences (0.2%) +52.7% to +58.7%: 2 occurrences (0.4%) +58.7% to +64.6%: 11 occurrences (2.2%) 61.7%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 39.3% 18.7% Model-free reality across 491 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (6.76) and kurtosis (103.5).
Standard Normal (Black-Scholes / GBM) 66.4% 33.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (29 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.6%
  • Recent 20-Day HV: 2.3%
  • Parkinson Intraday Volatility: 27.6%
  • Vol Trend: Compressed (-95% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +11.8%
  • Bottom 10% Move (10th percentile): -10.4%
  • Max Historical Gain (14d): +64.6%
  • Max Historical Loss (14d): -30.5%